I like to exit as soon as possible if the user isn't sure, and I like the code to be readable and short. Depending on whether you'd like the user to press Return after their answer or not,

With pressing Return,

read -p "Warning: something scary: Continue (Y/N)? " reply
[ $reply != 'Y' ] && [ $reply != 'y' ] && echo 'Aborting' && exit 1
echo 'Scary thing'

or if you prefer not to wait for the user to press Return,

read -n1 -p "Warning: something scary: Continue (Y/N)? " reply
echo ''
[ $reply != 'Y' ] && [ $reply != 'y' ] && echo 'Aborting' && exit 1
echo 'Scary thing'

The other answers have the background on that -n1 flag and other options for read. The echo '' in the 2nd variant is to make subsequent output appear on a new line since the user doesn't have to press Return, so no newline has been echoed to the terminal.

I like to exit as soon as possible if the user isn't sure, and I like the code to be readable and short. Depending on whether you'd like the user to press Return after their answer or not,

With pressing Return,

read -p "Warning: something scary: Continue (Y/N)? " reply
[ "$reply" != "Y" ] && [ "$reply" != "y" ] && echo "Aborting" && exit 1
echo "Scary thing"

or if you prefer not to wait for the user to press Return,

read -n1 -p "Warning: something scary: Continue (Y/N)? " reply
echo ""
[ "$reply" != "Y" ] && [ "$reply" != "y" ] && echo "Aborting" && exit 1
echo "Scary thing"

The other answers have the background on that -n1 flag and other options for read. The echo "" in the 2nd variant is to make subsequent output appear on a new line since the user doesn't have to press Return, so no newline has been echoed to the terminal. Also notice $reply being in quotation marks thus "$reply" to handle the situation where the user presses Return without specifying Y or N resulting in $reply being empty; the quotation marks prevent this breaking the tests, as discussed here.